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Paper / 2023SMQ / 227777706456015
Options-based systemic risk, financial distress, and macroeconomic downturns
Bevilacqua, Mattia / Tunaru, Radu / Vioto, Davide
systemic riskResource overview

Options-based systemic risk, financial distress, and macroeconomic downturns

Paper2023

by Bevilacqua, Mattia, Tunaru, Radu, Vioto, Davide

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systemic risk

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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